Mathematical Geology, Vol. 24, No.

3, 1992

Linear Coregionalization Model: Tools for

Estimation and Choice of Cross-Variogram Matrix 1
M. Goulard 2 and M. Voltz 3

The geostatistical analysis of multivariate data involves choosing and fitting theoretical models to
the empirical matrix. This paper considers the specific case of the model of linear coregionalization,
and describes an automated procedure for ftting models, that are adequate in the mathematical
sense, using a least-squares like technique. It also describes how to decide whether the number of
parameters of the cross-variogram matrix model should be reduced to improve stability of fir The
procedure is illustrated with an analysis of the spatial relations among the physical properties of
an alluvial soil. The results show the main influence of the scale and the shape of the basic models
on the goodness of fir The choice of the number of basic models appears of secondary importance,
though it greatly influences the resulting interpretation of the coregionalization analysis.
KEY W O R D S : cross-variogram, least-squares, principal component analysis, multitable analysis,
spatial analysis, soil physical properties.

INTRODUCTION
In various fields, many scientists are concerned with describing spatial relationships as well as synthesizing the characteristics of observed variables. The theory
of geostatistics embraces multivariate spatial data (Journel and Huijbregts, 1978;
Matheron, 1982) and provides tools for their analysis. However, in multivariate
geostatistics a crucial and frequent problem is to find a model of the coregionalization matrix that fits adequately in the mathematical sense to the empirical
cross-variogram matrix. Myers (1982) considers that the problem of the estimation of the coregionalization matrix is one of the reasons why cokriging, a
geostatistical multivariate method is a tool that is not often used. Ahmed and
De Marsily (1987) also state in a bivariate case study that fitting theoretical
models can be very difficult when the two variables are not strongly correlated.
Considering the general multivariate case, the estimation becomes even more
tReceived February 8, 1991; accepted April 26, 1991.
2Laboratoire de Biomttrie, I.N.R.A., BP 91, 84140 Montfavet, France.
3Laboratoire de Science du sol, I.N.R.A., Place Viala, 34060 Montpetlier Cede 1, France.
269

0882-8121/92/0400-0269506.50/1 1992InternationalAssociation for MathematicalGeology

270

Goulard and Voltz

difficult when p, the number of variables, increases because the number of

variograms and cross-variograms to model equals p ( p + 1)//2. The problem of
fitting a suitable model to the coregionalization matrix takes on three main
aspects. One concerns the choice of the form of the mathematical model. A
second is the estimation of the parameters of the model. And the last concerns
the need for the matrix model to be conditional negative semi-definite (Journel
and Huijbregts, 1978).
Although several authors have used multivariate geostatistics, only a few
(Aboufirassi and Marino, 1984; Ahmed and De Marsily, 1987; Yates and Warrick, 1987; Wackernagel, 1988) describe explicitly how they approach the above
three aspects. In essence, they have all used the following steps. First, they
assume a linear model for the coregionalization: the basic statement of the linear
model is that all regionalized variables being studied are generated by a same
set of physical processes acting additively at different spatial scales. It implies
that the form of all variograms or cross-variograms of the coregionalization
matrix is that of a nested model composed of the same elementary variogram
functions, but weighted by specific coefficients. The choice of the elementary
functions is free within the range of variogram functions that are conditional
negative semi-definite. Second, the parameters of the nested model are estimated. In the two-dimensional case this is mostly done by fitting separately each
variogram either by eye or by least-squares. For more dimensions Wackernagel
(1988) fitted simultaneously the variograms and cross-variograms by a leastsquare procedure. Third, the condition of negative semi-definiteness of the matrix model is verified a posteriori. One feature of assuming a linear model is
that it allows the conditional negative semi-definite condition to be expressed in
the form of workable criteria: Journel and Huijbregts (1978) give a more detailed
account of it.
However, several other problems remain. The a posteriori check does not
say how to modify the parameters of the fit when the negative definite condition
is not met; although a simple procedure exists (Wackernagel, 1988), a posteriori
modifications may lead to fit a matrix model of coregionalization that is adequate
in the mathematical sense but nonoptimal in terms of the distance criterion (sum
of square differences for example) with the empirical matrix. An additional
problem is the absence of guide for the choice of the shape of the elementary
variogram functions used.
The objective of this paper is to present and examine methods that can
answer these problems in the specific case of the linear model of coregionalization. The first part reviews the general framework of the linear model of
coregionalization. The second describes an optimal method to estimate the parameters of the matrix model of coregionalization under the constraint of negative semi-definiteness. It presents a method of analysis of the similarity between
fitted matrix models of different shape and different numbers of elementary

Linear CoregionalizationModel

271

structures to select the " b e s t " model, Finally, it illustrates the procedure with
a case study of the spatial relationships among the physical properties of an
alluvial soil.

THEORY
The Linear Coregionalization Model

The general statistical framework is as follows. Suppose that we have

measured the values of p variables at a number of geographical points in IR a
where d -- 1, 2, or 3. This will give us a set of 1 p vectors, we assume that
these vectors are a part of a realization of a multivariate random field X(y) with
p components, where y is in IR d and X(y) denotes the value of the random field
X at y. X is such that:
E[X(y) - X(y + h)] = [0, . . . , 0] r
s

G(h) = E[(X(y) - X(y + h))(X(y) - X(y + h)) r] = ~] Skgk(h )

k=l

where the gks are known variograms, Sks are unknown non-negative matrices,
s gives the number of structures, T denotes the transpose, and y and h are in
IRd.
This model was introduced by Matheron (1982) in geostatistics in a more
generalized form for Intrinsic Random Fields of order K. It provides a useful
tool to describe spatial relationships between variables. Each matrix Sk may be
thought of as a scalar product matrix between variables. Therefore, covariations
between variables can be shown in a low dimensional space defined by the
following principal component analysis of Sk:
Let Q be a positive definite matrix and Sk = UkA~U~ be the spectral
decomposition of Sk with UkrQUk = Ip (Ip denotes the identity matrix of order
p) and the diagonal elements Xkj of A k are in decreasing order.
Then for q < p let A q denote the p q matrix columns of which are the
first q columns of "~k~*klT
A~/2 corresponding to the q largest eigenvalues X~j. A t
defines the axis coordinates for a representation of the variables in a q-dimensional space.
This representation is optimal for the reconstruction of the scalar product
matrix Sk in a low dimensional space (Rao, 1980; Escoufier, 1987), and allows
to analyze the link between the variables at the scale of the structure k. In
practice, Sk is often replaced by its associated correlation matrix and Q by the
identity matrix.

272

Goulard and Voltz

Least Squares Estimation

Our primary aim is to estimate the unknown matrices Sk. To this end, we
must first guess what the theoretical basic functions gk are. We do this by
inspecting the sampling matrix visually and obtaining a first approximation of
the matrices Sk. Only after that can we refine the estimation. We proceed as
follows.
1. We summarize the spatial variation of the data by non-parametric estimators I~(h) of G(h) for several increments hj with j = 1 . . . . .
m.
In general, the following estimators are used. For a systematic sampling
design, an unbiased estimator can be calculated for a finite number of increments:
(](h) -

1
~] [X(y) - X(y + h)][S(y) - X(y + h)] T
2n(h) yinA(h)

where A(h) is the set of sample sites y such that y + h is also a sample site
and n(h) is the cardinal of A(h).
For any sampling design, a kernel estimator can be used (Kaar, 1986) for
an increment h:
(](h)

--

i~]l

2l(h) i= 1 j = 1

_d(h_yi+Yj)

ot n q~
n

with

i--I

l(h) = ~] ~=l ~

X(yi)][X(yi) - X(y:)] r

[X(yi) -

O/n

d (h _ Yi + Yj)
4~

i=1 j=

O/n

where n is the sample size, c~n is a real sequence such that:

en ~ 0

and

nc~a ~

oo

w h e n n ~ oo

and ~b is a positive bounded function such that:

f ~ a ~(x)

dx

= 1 and

~<x) = 0

if Ixl > C

The classical procedure generally used is a kernel estimator with a rectangular

kernel.
2. We choose a criterion to measure the goodness of the fit between G(hj),
j=l
.....
m.
Let V be a positive definite matrix and w(hj), j = 1 . . . . .
m, be positive
weights. Then we can define as criterion for a Euclidean-like distance:
m

WSS = ~] w(hj)tr[(V(~J(hj) j=]

G(hj))) 2]

Linear Coregionalization Model

273

where the weights w are generally chosen to be proportional to the amount of

information in the non-parametric estimator (for example, the number of pairs
used in the estimate), and where V is generally the identity or the diagonal
matrix of inverse variances. This procedure takes into account the variance of
each variable when fitting the model to the cross-variogram matrix and avoids
favoring the variables with large variances. This seems reasonable; it is only an
extension of what is done in the one-dimensional case.
3. We estimate the Sks by minimizing WSS when G(h) is assumed to be
of the form Slgl(h) + . . . + Ssgs(h).
The direct minimization is especially difficult. Therefore we used an iterative procedure that is defined as follows: (1) step 0: choose S~~. . . . .
S~~,
(b) step j : choose an index lj and compute

sl j ' = s l

fort.lj,

=l . . . . .

is
where Sk is defined in the following proposition.
Proposition 1. Let k be chosen and Sl, l ~ k, be fixed. We define:
(DG)k(h) = G(h) -

~ Stgl(h)
l~k

and UkA~U[ the spectral decomposition of E~=, w(h)gk(hs)(DG)k(hs) with

UVUk = Ip. If Sk = (1/o~k)UkA~-U~r, where ~xg = w(h,)gk(h,) z + ..~ +

w(hm)gk(hm) 2 and A~- is the matrix Ag where all negative values are set at zero.
Thus, Sk is a positive matrix ensuring the negative semi-definiteness of the
coregionalization model. Then for each positive matrix S:
m

w(hj)tr[{V((DG )k(hj) - Sgk(hj))} 2]

j=l
m

>_ ~ w ( h j ) t r [ { V ( ( D G ) A h s) - g~gk(hj))} 2]
j=l
and this minimum is equal to r~'= ~ w(hj)tr[(V(DG)k(hj)) 2] - (1/O~k)tr[(A~)2].
Of course, the iteration does not necessarily converge, nor if it does, is a
unique convergence point assured. A basic problem is to choose a satisfactory
starting point, because it affects the speed of convergence. In fact, we noticed
that a convergence point was always reached and that different starting points
always led to similar convergence points. The problem does not seem to be
crucial, therefore, though it must be kept in mind.
In the appendix, we check consistency of using the minimization of WSS
as an estimation procedure. The performance of the method on a finite sample
was examined by simulations of Gaussian fields, and estimator densities were

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Goulard and Voltz

analyzed (Goulard, 1988). The result showed that the method performs well
even if the model is slightly misspecified.
M o d e l Selection

The number and the nature of the basic structures are comer stones for a
" g o o d " estimation of the model. Two situations may arise after a first estimation. In the first situation the plot of the non-parametric covariogram estimates
and of their theoretical fitted models shows that the fit is poor. Then, at least
one basic structure must be modified or another basic structure must be added
into the model. In the second situation, when the plot shows the model fits well,
it may be worth looking to see if some basic structure can be omitted, for too
many basic structures can cause instability in the estimation results and, thus,
can lead to false interpretations.
Unlike the one-dimensional case (McBratney and Webster, 1986; Webster
and McBratney, 1989) statistical tests are not yet available to choose the number
of basic structures in the multidimensional case. However, some descriptive
analyses can help. The s s matrix C of elements tr(SiQSjQ) can be analyzed.
As it is a scalar product matrix, it enables the global similarities between the
matrices Sk to be examined. A good compromise Sc = r.3jSj of the matrices
Sk can be defined such that the weights /3is minimize r~(tr(QSjQSc)) 2. The
solution for the/3is is to take the elements of the eigenvector of C with positive
coordinates associated with the largest eigenvalue. Then if St = UdkcU~r with
UcTQUc = Ip and Sk -- UkAkU[ with U~QUk -- Ip. The columns of
UcrQUkA~/2U~r gives a way to show simultaneously the representations of the
variables for the elementary matrices Sk. On the basis of these representations
we can choose whether we keep all the basic structures or omit one of them.

A CASE STUDY
The linear coregionalization model was used to describe the spatial relations
among the physical properties of an alluvial soil. We describe the study area
briefly and its sampling, the way in which the multivariate variograms were
chosen, and the results of the linear coregionalization analysis.
Site Description

The area studied is 19,200 m 2 in extent and occupies part of the alluvial
plain of the fiver Salaison. It lies 15 km from Montpellier in the south of France.
The soil is a calcareous alluvial clay loam. The land had been a vineyard. The
vines were removed and the soil then cultivated to 60 cm. This cultivated layer
remained clearly distinguishable from the soil beneath by a discontinuity of

Linear Coregionalization Model

275

constant depth. There is a horizontal trend in the soil's texture perpendicular to

the direction of the river.
Sampling Design

The soil was sampled as follows. Undisturbed cores (212 cm 3) were collected using the special coring device described by Avery and Bascomb (1974),
and disturbed samples were collected with an Edelman auger. Both were taken
at a constant depth of 70 cm, characteristic of the subsoil. The sampling locations were chosen at the intersection of a 20-m square grid and at 5-m intervals
along two perpendicular transects. Figure 1 shows the sampling design. Two
main physical soil properties were measured. Particle size distribution, represented by the relative weights of seven size classes (0-2/~m, 2-20/zm, 32-50
/zm, 50-88/xm, 105-180/zm, 180-2000/zm, > 2000/~m), were determined on
the disturbed samples, and the moisture retention curves represented by the soil
water content at five values of matric suction (5 kPa, 10 kPa, 100 kPa, 200

o
o
g

o
a
Q

Q
o
Om

e
o
o
Qo

O o o O o o e O o e o O o o O

5~
Q

o
Q
Q
Q

o
o

Fig.

1.

Sampling

design.

276

Goulard and Voltz

kPa, 1500 kPa) were determined on the undisturbed cores. Boxplot visualizations for variables are given in Fig. 2.
RESULTS AND DISCUSSION
The variograms and cross-variograms of the 12 regionalized variables were
estimated up to a distance of 70-m at 5-m intervals. A first visual inspection of
the variograms and cross-variograms suggested the presence of three basic components at different spatial scales and not necessarily apparent on each variogram. The first observed structure is pure nugget effect. In a previous analysis
of these data Voltz (1986) showed that, in this case and for most variables,
measurements errors and microvariation within the smallest sampling interval
contributed in similar proportions to the nugget effect. The second structure
reflected a transitive process of medium range, approximately from 20 to 40 m.
The third structure seemed unbounded at the scale of the study; it could be
represented either by an unbounded variogram or by a transitive model with
long range.
Linear Coregionalization Analysis with Three Elementary Models
A first analysis took account of the three observed structures, assuming
that the matrix of variograms and cross-variograms was a sum of three elementary coregionalization matrices corresponding respectively to nugget, medium
range, and long-range processes. Apart from the nugget variogram, whose model
is obvious, the shapes of the elementary variograms could not be deduced from
our physical knowledge of the area. We therefore fitted various combinations
of three elementary variogram models to the experimental cross-variogram matrix by weighted least-squares estimation as described earlier. In doing
so, we took the number of pairs involved at each step for the weight w(hj) and
the diagonal of inverse variances for matrix V. Fitting different sets of elementary structures allowed us to study the sensitivity of the goodness of the fit to
the shape and the range of the theoretical variograms. Description of the various
coregionalization models and results of the fitting procedures are given in Table
I. Two of the three elementary variogram functions we used are of common
use, i.e., the linear and spherical models, whose equations are, respectively,
g(h) = Ihl
and

g(h) =

\ 2a

for [hi < a

for Ihl > a

Linear Coregionalization Model

277

,I
,[

I
t
l
t

_=

I
I
1

-[

-[
7
I
I
I
I
I
'1

0
>~

~-[
I
I
I
I
1
I
I

I_

>.

.x

8
Y

L~

8~
/:
~4

278

Goulard and Voltz

o_

O.

o_
U').

]
T

L~
-i

r
I

E
o

.--~m0 t13

O.-~

ooN
~o
er-

E
~

o_i

Linear Coregionalization Model

279

Table I. Nested Models with Three Basic Components Fitted to the

Variogram-CovariogramMatrix

Nature of basic components

Final value
of WSS criterion

Whittle (30)a + spherical (10) + nugget

Whittle (50) + spherical (20) + nugget
Whittle (80) + spherical (20) + nugget
Spherical (50) + spherical (20) + nugget
Spherical (80) + spherical (20) + nugget
Linear + spherical (40) + nugget
Linear + spherical (20) + nugget

1.077
0.864
0.681
0.869
0.609
0.545
0.522

"The values in parentheses indicate the range or the effective range of

each model in meters.

where a is the range of the spherical model. The third variogram function has
not been much applied; we call it Whittle's model because Whittle (1954) described it and showed that it arises from a diffusion process in the plane. Its
equation is

where K~ is the first order Bessel function of second kind and r is a parameter.
The effective range of the Whittle's model is usually taken as 4r.
Three points deserve to be emphasized. The first concerns the goodness of
fit, which differed significantly from one combination of elementary structures
to another. The fitting criterion increased twofold from the best model to the
worst (Table I). Choosing the right combination of basic models is important.
The second observation concerns the influence of the chosen ranges. Considering
the nested models with a same combination of elementary variogram functions,
it appeared that varying the ranges greatly influenced the fitting criterion. The
best choice of ranges was a combination of 20 m and 80 m. This confirmed our
initial idea of medium and long-range underlying spatial factors. Reciprocally,
the last comment results from the comparison o f the nested models with a same
combination of ranges. The models including only spherical variograms fitted
better than models mixing Whittle and spherical variograms, but eventually a
combination o f a linear model and a spherical model of range 20 m was undoubtedly the best choice. The goodness o f the latter fit can be examined in
Fig. 3.
In this case, the same combination of elementary functions could be fairly
satisfactorily fitted to each empirical variogram or cross-variogram, but we can-

280

Goulard and Voltz

\ ,!~~- .\
-8

I'~

-8

-8

-,~

==
.~

"~.~

II o
+

-~

-~

I I

"8

.eg

1
!

"

-e Z
':

I!

'

I -*

-~ ~

i( -,

,i,!

-N

-~

~
.~

>

Linear Coregionalization Model

281

not take it as certain that the three elementary models reflect three actual underlying physical processes. A further step is to analyze the consistency of the
spatial relationships at the scale of each elementary structure. We therefore
performed a principal component analysis on the coregionalization matrices S k
of the best fit. Figure 4 shows for all three matrices the position of the variables
on the unit circle defined on the plane of the first two principal axes and centered
at the origin. In each case, the first two principal axes always extracted more
than 88% of the total variance. Thus, we could assume that the unit circles in
Fig. 4 gave a good representative view of the correlation structures at the various

b (50%)

a (20%)
1,0--

0.5--

/V1500

~ o.owI~W~

F3

-1.0 --

-1.0 --1.0

I
-0.5

i
I
0.0
0.5
Frostaxis [63%]

I
1.0

-1.0

-0.5

0,0
0.5
First axis [74%]

1,0

c (30%)
1.0-

0,5~

o.o-

~ 43.5-

-1.0 I

-1.o

-o.5

o.o

0.5

1.o

Fig. 4. Representation of variables on the two first principal axes of (a) linear, (b) spherical (20),
and (c) nugget coregionalization matrices. The inertia of each axis is indicated in brackets.

282

Goulard and Voltz

scales. In addition, the positions of the variables differed according to the unit
circles. This supported the idea of correlation structures dependent on spatial
scale and justified the choice of a coregionalization model with several components.
However, one can see that the correlation structures at the spherical and
nugget effect scales seemed to be fairly similar, whereas the correlation structure
at the linear scale was clearly specific. We therefore analyzed, the similarities
between the three coregionalization matrices by a principal component analysis
of matrix C, described in the paragraph about model selection. The first principal
axis explained 88 % of the inertia of C, suggesting that fewer elementary models
would suffice. In addition, the simultaneous representations of the correlation
structure of each elementary matrix confirmed a strong similarity between spherical and nugget components (Fig. 5). Thus, it seemed that the nested model
could be restricted to a linear combination of only two basic functions.

Linear Coregionalization Analysis with Two Elementary Models

Here we tried all linear combinations of two basic models from the three
that gave the best fit. Moreover, for comparison, we also fitted a nested model
including Whittle's model. Table II gives the values of the fitting criterion. The
combination of a linear and a spherical model gave the best fit. It was almost
as good as the best fit with three components. Eliminating the nugget effect did
not significantly worsen the fit. If we accept the principle of parsimony, then
we should choose a nested model with only two basic components as best.
Furthermore, this result confirmed our analysis of the C matrix, which showed
that the spherical and the nugget components contained the same information.
Finally, we performed the principal component analysis again. Figure 6 displays
the corresponding unit circles. Based on the percentage of inertia explained by
each matrix, the spherical coregionalization matrix seems clearly to be the sum
of the previous spherical and nugget matrices.

Pedological Interpretation of Spatial Relationships Between Soil Variables

Spatial variation of texture is alluvial soil is the result of conditions at the
time the sediments were being deposited, especially of the variation in water
velocity above the sediment. Two main spatial scales of velocity distribution
can be distinguished, one long range and the other short range. The long range
distribution corresponds to the decrease of velocity that usually occurs between
the center and the edge of the bed and tends to produce a large textural trend
in the sediment. The short range component is associated with local variations
in velocity (currents, vortices). The measured spatial variation of texture can
effectively be seen, therefore, as the sum of two underlying physical processes
acting at two different scales. This would explain the main grouping of clay

Linear

Model

Coregionalization

283

b
F5

0.4-

0.4 --

Wl00
VV200

-~ 0.2 -

.-~ 0.2
w200
W5 wlO
J--F2 CLAY
WIO0 P~W1500
F6
F4
F7
F3

0.0--

F4
W1500

W5
Wl0
F7
F6

8
o.o-

F3
CLAY

-0.2

-0.2 --

F2

--T---I
-0.4

]43.2

0.0
0.2
First axis

I
0.4

I
-0.4

~.......
0.6

I
-0.2

]
0,0

I
0.2

[
0.4

I
0.6

First axis

C
W5
Wl0

0.4--

F5

F4

WtO0

0.2--

F3

F7
W200

8
o.o-

F6

W1500
CLAY

-0.2--

F2
1

-0.4

I
-0.2

0.0 0.2
First axis

0.4

06

Fig. S. Simultaneous representation of variables on the two first principal axes of the compromise
matrix for (a) linear, (b) spherical (20), and (c) nugget coregionalization matrices.

Table II. Nested Models with Two Basic Components

Fitted to the Variogram-Covariogram Matrix

Nature of basic components

Whittle (50) + nugget
Spherical (20) + nugget
Linear + nugget
Linear + spherical (20)

Final value
of WSS criterion
0.890
1.260
0.584
0.546

284

Goulard and Voltz

a (21%)

b (79%)

1.0--

1.0-

0.5- W

0,5--

i
WlO CLAY

'~

0.0 -

-0.5

-1.0

-1.0
I

-1.0

-0.5

0.0
05
Firstaxis[64%]

10

-1.0

-0,5
First

0.0
0.5
axis[69%]

1.0

Fig. 6. Representation of variables on the two first principal axes of (a) linear, and (b) spherical
(20) coregionalization matrices, in the case of a nested model with two components.

content and all soil water retention variables in the coregionalization matrix of
the linear model, while the spherical model represented stronger statistical independence between the latter variables. Relationships between texture and soil
water retention properties are known to be significant for broad textural variabilities (case of the linear spatial component) (Cosby et al., 1984), and to be
more obscure or variable for small textural variabilities (case of the spherical
spatial component).
CONCLUSION
For coregionalization analysis, theoretical models must be chosen and fitted
to the covariogram-variogram matrix. We have described some tools (leastsquares estimation, principal component analysis, and similarity analysis) that
can help to choose and fit them optimally. Our case study illustrates how the
tools can be used in combination. We also show the main influence of the nature
of theoretical models on the goodness of fit. The choice of the number of basic
models appears of secondary importance, though it greatly influences the resulting interpretation of the coregionalization analysis.
Unfortunately, the goodness of the fit of theoretical models, however necessary, is not a proof of their physical reality. We believe that, when using
linear coregionalization analysis in a descriptive way, results are acceptable only
if they are consistent with any prior physical knowledge or with a new physical
interpretation without references to the statistical models that are used.

Linear Coregionalization Model

285

APPENDIX

The check of consistency is done by use of results on minimum contrast

estimates (Dacunha-Castelle and Duflo, 1983). Let us denote N the size of the
sample and
m

(lS)N(S) = Z w(hj)HGs(hj) j=l

~;(hj)l[~

6(S, U) = ~] w(hj)HGs(hj) - Gu(hj)H ~

j=l

where S denotes the vector of matrices ($1 . . . . .

Ss), Gs(h) = ESkg~(h) and
= tr((QA) 2) for any symmetric matrix A.
Let Gso be the true model. In order to have a minimum contrast estimate
we must verify: (1) 6(S, S) < 6(S, U) for all U S, (2) (lS)N(S) -~ 6(So, S)
in probability, and the following proposition describes the conditions.
Proposition 2. If GN(h) -~ Gso(h) in probability when N ~ ~ and the
matrix:

]IAI[~

gl(hl) . . gs(hl) \)

M=
k,g l (hm)

gs(hm) /

is of rank s, then the procedure is a minimum contrast estimation.

For consistency, we follow the argument of Dacurdaa-Castelle and Duflo
(1983, pp. 88-95) in the general framework of minimum contrast estimation.
Proposition 3. Under the following conditions:
- Gso(h)[[2]
--, 0 when N ~ w, if M is of rank s and if So is in a compact set, then the
estimators are consistent.
Under the above convergence condition, we can check that all technical
conditions of Theorem 3.2.8. of Dacunha-Castelle and Duflo (1983, p. 93) are
satisfied.

E[II~;N(h)

ACKNOWLEDGMENTS
We are grateful to Dr. R. Webster and Dr. J. Chadoeuf for critically
reviewing earlier versions of this manuscript and providing many useful suggestions.
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